Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0018
Annualized Std Dev 0.2180
Annualized Sharpe (Rf=0%) -0.0083

Row

Daily Return Statistics

Close
Observations 4230.0000
NAs 1.0000
Minimum -0.2068
Quartile 1 -0.0050
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0057
Maximum 0.1291
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0137
Skewness -0.8070
Kurtosis 27.6121

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0101
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.5645
Historical VaR (95%) -0.0188
Historical ES (95%) -0.0333
Modified VaR (95%) -0.0178
Modified ES (95%) -0.0178
From Trough To Depth Length To Trough Recovery
2013-04-30 2020-03-23 NA -0.5645 1987 1736 NA
2007-05-21 2009-03-09 2013-04-24 -0.5446 1493 454 1039
2005-09-28 2005-12-14 2006-10-19 -0.1330 267 55 212
2004-06-15 2004-07-27 2005-02-07 -0.1004 165 30 135
2005-02-08 2005-03-23 2005-07-12 -0.0969 107 31 76

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA 0 1 0.6 2.8 0.7 -1.5 2.3 0.5 6.5
2005 0.6 0.4 0 0.7 2.6 0.1 -1.4 0.4 -0.6 -0.1 0.6 -0.4 2.8
2006 -0.4 0.1 -0.5 0.6 0.1 0.5 0.5 0.9 0.6 -1.5 0.5 0.2 1.5
2007 -0.4 -1.6 0.2 0 0 0.2 0 1 1.3 -2.7 0.2 0.7 -1.2
2008 3.5 -0.9 1.4 0.9 0.5 -1.7 -0.9 0.1 0.5 8.1 -0.5 -0.6 10.5
2009 0 -2.5 0.4 1 0.7 0.5 0.5 0 1 -5.4 2.9 -3.7 -4.9
2010 -2.1 -0.3 0.1 -0.3 -0.3 -0.3 -0.7 1.9 0 0.4 1.9 1.2 1.5
2011 0.6 -1.4 0.5 0.7 -0.4 0.9 0.3 0.6 -0.6 1.2 0.8 -0.8 2.6
2012 0.1 -0.7 0.9 -0.7 -0.6 1.4 0.7 0.3 0.2 0.9 0.2 -0.2 2.6
2013 0.1 0.4 -0.2 -1.9 -1.3 -0.3 0.8 0.2 0.3 0 0.3 0.7 -1
2014 0.3 0.3 -0.2 0.6 0.6 0.5 0.3 -0.1 -0.5 0.7 -0.7 -0.4 1.3
2015 -0.8 -0.5 0.1 0.4 -0.2 -0.5 0.2 -2.3 -0.2 0.9 0.4 -0.7 -3.2
2016 1.6 0 0.3 0.1 -0.6 0.5 -0.6 0.4 0.2 -1.4 -2.4 -0.1 -2
2017 -0.6 -0.2 1 0 1 0.3 0.7 0.2 0.4 0.1 -0.2 0.8 3.3
2018 0.4 0.4 1.1 -0.3 -1 0.5 -0.7 1 1.2 0.8 0.1 0.2 3.8
2019 -0.2 -0.7 -0.1 -0.9 -0.5 -0.2 0.1 1.5 -0.2 0.6 -0.8 -0.5 -1.7
2020 1.7 -4 -7 0.9 0.7 0.6 -0.9 0.4 0.5 -1.4 1.6 0.4 -6.8
2021 -4.2 0.6 0.8 NA NA NA NA NA NA NA NA NA -2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-05-26  20.0 SPY    112.  0.0035   0.0272 -1.80e-2  -0.0235    0.173   -0.147   -0.158 <NA>     NA    NA       NA
2 2004-05-27  20   SPY    113.  0.0056   0.0296  4.00e-4  -0.0187    0.183   -0.142   -0.139 <NA>     NA    NA       NA
3 2004-05-28  20.0 SPY    113. -0.0001   0.0278  9.20e-3  -0.0284    0.164   -0.127   -0.125 <NA>     NA    NA       NA
4 2004-06-01  20   SPY    113. -0.0013   0.0221  1.58e-2  -0.024     0.158   -0.130   -0.136 <NA>     NA    NA       NA
5 2004-06-02  20   SPY    113.  0.0037   0.0114  8.70e-3  -0.0221    0.157   -0.117   -0.12  <NA>     NA    NA       NA
6 2004-06-03  20   SPY    112. -0.0092  -0.0013  3.00e-4  -0.0336    0.130   -0.118   -0.139 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart